Why can't control leave a finally statement?

Consider what would happen if you were to return 1 inside the try block and return 0 inside the finally block... Your function would be trying to return two values! The combined options of try and catch are exhaustive in terms of control flow.

It's by design and it's described in C# specification:

It is a compile-time error for a break, continue, or goto statement to transfer control out of a finally block. When a break, continue, or goto statement occurs in a finally block, the target of the statement must be within the same finally block, or otherwise a compile-time error occurs.

It is a compile-time error for a return statement to occur in a finally block.

Also, from C# 6.0 spec draft on MSDN:

It is a compile-time error for a return statement to occur in a finally block.